Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 3 | 3 | 5 |
| Score | 0.92 | 1.55 | 6.08 |
| Market Cap (Millions USD) | 10813.91 | 10741.9 | 10933.2 |
| Predicted Beta | 1.67 | 1.66 | 1.62 |
| Idiosyncratic Volatility | 3.16 | 3.36 | 3.32 |
Annualized return and volatility
| IWP | |
|---|---|
| Annualized Return | 0.0873 |
| Annualized Std Dev | 0.2056 |
| Annualized Sharpe (Rf=0%) | 0.4245 |
Row
Daily Return Statistics
| IWP | |
|---|---|
| Observations | 4707.0000 |
| NAs | 407.0000 |
| Minimum | -0.1053 |
| Quartile 1 | -0.0052 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0067 |
| Maximum | 0.1018 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0129 |
| Skewness | -0.2521 |
| Kurtosis | 6.5031 |
Downside Risk
| IWP | |
|---|---|
| Semi Deviation | 0.0094 |
| Gain Deviation | 0.0089 |
| Loss Deviation | 0.0102 |
| Downside Deviation (MAR=210%) | 0.0140 |
| Downside Deviation (Rf=0%) | 0.0092 |
| Downside Deviation (0%) | 0.0092 |
| Maximum Drawdown | 0.5692 |
| Historical VaR (95%) | -0.0202 |
| Historical ES (95%) | -0.0315 |
| Modified VaR (95%) | -0.0201 |
| Modified ES (95%) | -0.0358 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2008-11-20 | 2011-01-14 | -0.5692 | 839 | 289 | 550 |
| 2001-08-03 | 2002-10-07 | 2003-12-01 | -0.3972 | 595 | 298 | 297 |
| 2011-07-08 | 2011-10-03 | 2012-03-26 | -0.2503 | 183 | 62 | 121 |
| 2018-09-17 | 2018-12-24 | 2019-03-21 | -0.2250 | 130 | 70 | 60 |
| 2015-04-24 | 2016-02-11 | 2016-08-23 | -0.2026 | 341 | 206 | 135 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IWP | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | 0.0 | 0.0 | 2.1 | 0.0 | 0.0 | 2.1 |
| 2002 | -0.4 | 2.5 | -0.2 | 0.5 | 0.0 | -3.1 | -2.9 | 0.0 | 0.1 | 2.9 | 0.0 | 0.0 | -0.7 |
| 2003 | 0.0 | 0.0 | -0.7 | -0.3 | 0.0 | 0.6 | -0.4 | 0.0 | 1.6 | 0.0 | 1.3 | 0.0 | 2.1 |
| 2004 | 0.0 | 1.4 | 0.6 | 0.0 | 0.2 | -1.6 | 0.0 | 0.6 | 1.1 | 0.1 | 1.8 | 0.0 | 4.3 |
| 2005 | 0.7 | 0.7 | -0.3 | 0.0 | 0.6 | 0.4 | 0.0 | -0.2 | 0.0 | 0.2 | 1.8 | 0.0 | 3.9 |
| 2006 | 0.5 | 1.2 | 0.0 | -0.2 | 1.7 | 0.0 | -1.0 | 0.6 | 0.0 | -1.1 | -0.4 | 0.0 | 1.1 |
| 2007 | 1.1 | -0.6 | 0.0 | 0.2 | 0.4 | 0.0 | 0.2 | 0.0 | 1.3 | -2.1 | 0.0 | 0.0 | 0.4 |
| 2008 | 2.3 | 0.0 | 3.4 | 1.4 | 0.0 | 0.1 | -0.6 | 0.0 | -1.8 | 0.0 | -8.9 | 0.0 | -4.5 |
| 2009 | 0.0 | 0.0 | 1.5 | 0.5 | 3.9 | 0.5 | 0.0 | -2.1 | -3.0 | 0.0 | 1.6 | 0.0 | 2.6 |
| 2010 | 1.7 | 1.9 | 1.2 | 0.0 | -2.3 | -0.3 | 0.0 | 3.2 | 0.2 | -0.1 | 2.2 | 0.0 | 7.9 |
| 2011 | 1.4 | -1.8 | 0.6 | 0.0 | -2.4 | 1.6 | -0.7 | -1.3 | 0.0 | -2.7 | -0.1 | 0.0 | -5.4 |
| 2012 | 1.5 | 0.9 | 0.0 | 0.6 | -3.1 | 0.0 | -0.7 | 0.0 | 0.0 | 1.8 | 0.0 | 0.0 | 0.9 |
| 2013 | 1.0 | 0.3 | -0.9 | -1.0 | 0.0 | 1.4 | 1.9 | 0.0 | 1.1 | 0.1 | 0.0 | 0.0 | 4.0 |
| 2014 | 0.0 | 0.0 | 1.3 | 0.3 | 0.0 | 0.8 | -0.2 | 0.0 | -1.6 | 0.0 | -1.3 | 0.0 | -0.8 |
| 2015 | 0.0 | 0.0 | -0.4 | 1.1 | 0.2 | 0.6 | 0.0 | -2.7 | 0.2 | 0.0 | 0.8 | 0.0 | -0.4 |
| 2016 | 0.4 | 2.4 | 0.5 | 0.0 | 0.4 | 0.2 | -0.1 | 0.2 | 0.0 | -0.8 | -1.0 | 0.0 | 2.1 |
| 2017 | -0.1 | 1.1 | 0.0 | 0.2 | 1.3 | 0.0 | 0.1 | 0.4 | 0.0 | -0.3 | -0.5 | 0.0 | 2.0 |
| 2018 | 0.0 | -1.0 | 0.0 | 0.4 | 1.2 | 0.0 | -0.1 | 0.0 | -0.5 | 1.9 | 0.0 | 0.0 | 1.8 |
| 2019 | 0.7 | 0.7 | 1.3 | -1.1 | 0.0 | 0.9 | -0.9 | 0.0 | -1.2 | 1.0 | 0.0 | 0.2 | 1.5 |
Row
Rolling Performance Chart
Snail Trail Chart
